29 unchanged sentences
Accordingly, when the contract interest rate on a mortgage loan is substantially above prevailing interest rates in the market, the effective duration of securities collateralized by such loans can be quite low because of expected prepayments.
−Removed: We face the risk that the market value of our PT RMBS assets will increase or decrease at different rates than that of our structured RMBS or liabilities, including our hedging instruments.
−Removed: Accordingly, we assess our interest rate risk by estimating the duration of our assets and the duration of our liabilities.
+Added: We face the risk that the market value of our RMBS assets will increase or decrease at different rates than that of our hedging instruments.
+Added: Accordingly, we assess our interest rate risk by estimating the duration of our assets and the duration of our hedge instruments.
We generally calculate duration using various third party models.
2 unchanged sentences
We have a negatively convex asset profile and a linear to slightly positively convex hedge portfolio (short positions).
−Removed: It is not uncommon for us to have losses in both directions.
+Added: It is common for us to have losses in both directions.
All changes in value in the table below are measured as percentage changes from the investment portfolio value and net asset value at the base interest rate scenario.
60 unchanged sentences
Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.